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/**
* @file NormalCopula.hxx
* @brief A class that implements a normal copula
*
* Copyright 2005-2015 Airbus-EDF-IMACS-Phimeca
*
* This library is free software: you can redistribute it and/or modify
* it under the terms of the GNU Lesser General Public License as published by
* the Free Software Foundation, either version 3 of the License, or
* (at your option) any later version.
*
* This library is distributed in the hope that it will be useful,
* but WITHOUT ANY WARRANTY; without even the implied warranty of
* MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
* GNU Lesser General Public License for more details.
*
* You should have received a copy of the GNU Lesser General Public
* along with this library. If not, see <http://www.gnu.org/licenses/>.
*
* @author schueller
* @date 2012-07-16 10:12:54 +0200 (Mon, 16 Jul 2012)
*/
#ifndef OPENTURNS_NORMALCOPULA_HXX
#define OPENTURNS_NORMALCOPULA_HXX
#include "CopulaImplementation.hxx"
#include "CorrelationMatrix.hxx"
#include "Normal.hxx"
#include "DistFunc.hxx"
#include "TBB.hxx"
BEGIN_NAMESPACE_OPENTURNS
/**
* @class NormalCopula
*
* The class implements a normal copula
*/
class OT_API NormalCopula
: public CopulaImplementation
{
CLASSNAME;
public:
/** Default constructor */
explicit NormalCopula(const UnsignedInteger dim = 1);
/** Default constructor */
explicit NormalCopula(const CorrelationMatrix & correlation);
/** Comparison operator */
Bool operator ==(const NormalCopula & other) const;
/** String converter */
String __repr__() const;
String __str__(const String & offset = "") const;
/* Interface inherited from Distribution */
/** Virtual constructor */
virtual NormalCopula * clone() const;
/** Get one realization of the NormalCopula distribution */
NumericalPoint getRealization() const;
protected:
NumericalSample getSampleParallel(const UnsignedInteger size) const;
public:
NumericalSample getSample(const UnsignedInteger size) const;
/** Get the DDF of the NormalCopula distribution */
using CopulaImplementation::computeDDF;
NumericalPoint computeDDF(const NumericalPoint & point) const;
/** Get the PDF of the NormalCopula distribution */
using CopulaImplementation::computePDF;
NumericalScalar computePDF(const NumericalPoint & point) const;
/** Get the CDF of the NormalCopula distribution */
using CopulaImplementation::computeCDF;
NumericalScalar computeCDF(const NumericalPoint & point) const;
using CopulaImplementation::computeSurvivalFunction;
NumericalScalar computeSurvivalFunction(const NumericalPoint & point) const;
/** Get the probability content of an interval */
NumericalScalar computeProbability(const Interval & interval) const;
/** Get the shape matrix of the copula */
CorrelationMatrix getShapeMatrix() const;
/** Get the Kendall concordance of the distribution */
CorrelationMatrix getKendallTau() const;
/** Get the PDF gradient of the distribution */
NumericalPoint computePDFGradient(const NumericalPoint & point) const;
/** Get the CDF gradient of the distribution */
NumericalPoint computeCDFGradient(const NumericalPoint & point) const;
/** Compute the PDF of Xi | X1, ..., Xi-1. x = Xi, y = (X1,...,Xi-1) */
NumericalScalar computeConditionalPDF(const NumericalScalar x,
const NumericalPoint & y) const;
/** Compute the CDF of Xi | X1, ..., Xi-1. x = Xi, y = (X1,...,Xi-1) */
NumericalScalar computeConditionalCDF(const NumericalScalar x,
const NumericalPoint & y) const;
/** Compute the quantile of Xi | X1, ..., Xi-1, i.e. x such that CDF(x|y) = q with x = Xi, y = (X1,...,Xi-1) */
NumericalScalar computeConditionalQuantile(const NumericalScalar q,
const NumericalPoint & y) const;
/** Get the distribution of the marginal distribution corresponding to indices dimensions */
using CopulaImplementation::getMarginal;
Implementation getMarginal(const Indices & indices) const;
/** Get the isoprobabilist transformation */
IsoProbabilisticTransformation getIsoProbabilisticTransformation() const;
/** Get the inverse isoprobabilist transformation */
InverseIsoProbabilisticTransformation getInverseIsoProbabilisticTransformation() const;
/** Tell if the distribution has independent copula */
Bool hasIndependentCopula() const;
/** Parameters value and description accessor */
NumericalPointWithDescriptionCollection getParametersCollection() const;
using CopulaImplementation::setParametersCollection;
void setParametersCollection(const NumericalPointCollection & parametersCollection);
/** Compute the correlation matrix of a Normal Copula from its Spearman correlation matrix */
static CorrelationMatrix GetCorrelationFromSpearmanCorrelation(const CorrelationMatrix & matrix);
/** Compute the correlation matrix of a Normal Copula from its Kendall correlation matrix */
static CorrelationMatrix GetCorrelationFromKendallCorrelation(const CorrelationMatrix & matrix);
/** Method save() stores the object through the StorageManager */
virtual void save(Advocate & adv) const;
/** Method load() reloads the object from the StorageManager */
virtual void load(Advocate & adv);
protected:
private:
/** Compute the covariance of the distribution */
void computeCovariance() const;
// Normal copula parameter
CorrelationMatrix correlation_;
// Underlying generic representative
Normal normal_;
}; /* class NormalCopula */
END_NAMESPACE_OPENTURNS
#endif /* OPENTURNS_NORMALCOPULA_HXX */
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